Overview

Problems involving hitting and stopping times are ubiquitous across the fields of financial and insurance mathematics, and as both fields have rapidly advanced and drafted in more sophisticated models, the need to advance the corresponding mathematical techniques has also grown.

In Mathematical Finance, problems involving hitting times and stopping times arise classically in the study of American and Barrier options, but also their study has proven to be important in robust hedging, real option theory and in the modelling of credit default events. In insurance, the major application is to ruin theory. Often however the latter is complicated by additional perturbations of the path of the surplus process which correspond to dividend strategies. Examples include path refraction and path reflection.

The aim of the workshop is to bring together academics from the finance and insurance communities, in order to share recent advances in the techniques connected to hitting and stopping problems.

Confirmed main speakers:

• Hansjoerg Albrecher
• Peter Carr
• David Hobson
• Dilip Madan
• Martijn Pistorius
• Hans Peter Schmidli

Download Programme (PDF 54KB)

Supported By:

Scientific Organisers:

• Dr. Alex Cox
• Prof. Andreas E. Kyprianou
• Dr. Kees van Schaik